^FCHI vs. ^AEX
Compare and contrast key facts about CAC 40 (^FCHI) and AEX Index (^AEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FCHI or ^AEX.
Performance
^FCHI vs. ^AEX - Performance Comparison
Returns By Period
In the year-to-date period, ^FCHI achieves a -4.57% return, which is significantly lower than ^AEX's 9.12% return. Over the past 10 years, ^FCHI has underperformed ^AEX with an annualized return of 5.09%, while ^AEX has yielded a comparatively higher 7.21% annualized return.
^FCHI
-4.57%
-4.48%
-11.04%
-0.43%
4.02%
5.09%
^AEX
9.12%
-4.43%
-5.71%
13.18%
7.58%
7.21%
Key characteristics
| ^FCHI | ^AEX | |
|---|---|---|
| Sharpe Ratio | -0.10 | 1.02 |
| Sortino Ratio | -0.05 | 1.49 |
| Omega Ratio | 0.99 | 1.19 |
| Calmar Ratio | -0.10 | 1.33 |
| Martin Ratio | -0.20 | 3.66 |
| Ulcer Index | 6.32% | 3.32% |
| Daily Std Dev | 12.61% | 11.78% |
| Max Drawdown | -65.29% | -71.60% |
| Current Drawdown | -12.64% | -9.14% |
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Correlation
The correlation between ^FCHI and ^AEX is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
^FCHI vs. ^AEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and AEX Index (^AEX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
^FCHI vs. ^AEX - Drawdown Comparison
The maximum ^FCHI drawdown since its inception was -65.29%, smaller than the maximum ^AEX drawdown of -71.60%. Use the drawdown chart below to compare losses from any high point for ^FCHI and ^AEX. For additional features, visit the drawdowns tool.
Volatility
^FCHI vs. ^AEX - Volatility Comparison
CAC 40 (^FCHI) has a higher volatility of 5.30% compared to AEX Index (^AEX) at 4.71%. This indicates that ^FCHI's price experiences larger fluctuations and is considered to be riskier than ^AEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.